Optimal stopping and stochastic control differential games for jump diffusions

DOI10.1080/17442508.2011.652116zbMath1286.93200OpenAlexW2092199932MaRDI QIDQ5411896

Sven Haadem, Isabelle Turpin, Fouzia Baghery, Bernt Øksendal

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/40225

zbMATH Keywords

optimal stoppingstochastic controlstochastic differential gamesjump diffusionsoptimal resource extraction in a worst-case scenariorisk minimizing portfolios

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Noncooperative games (91A10) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05) Probabilistic games; gambling (91A60)

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Uncertain dynamics, correlation effects, and robust investment decisions, Nonzero-sum stochastic differential game between controller and stopper for jump diffusions, A risk-based approach for pricing American options under a generalized Markov regime-switching model

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